I am English, DH is Scottish. It's where we happened to be born, though he would prefer to be Scottish than British, I feel.
As children of an Army family, my lot can tell you where they were born, but not necessarily where they come from! They do reflect a lot on where, i.e. in which posting, they were happiest (they were all at school in Yorkshire) They have lived in England, N.Ireland, and Scotland:
DS2 - Yorkshire. (Lives in Gloucestershire)
DS1. - Hampshire. (Lives there)
DD - London, but actually anywhere but not Yorkshire (Lives in Devon)
The "boys" would say they were English but DS2 played rugby for Scotland U21s, so would claim his Scottish heritage.
DD and I have no doubts - we are English, and this is reinforced, as some of you have said, by the whole Scottish referendum bit.
But really, it is where we happened to be, I suppose. Me? Born in Nottingham, lived there for 20 years. Enough said. Live in Devon, love every bit of it.